{"product_id":"basel-ii-and-the-risk-management-of-basket-options-with-time-varying-correlations-paperback","title":"Basel II and the Risk Management of Basket Options with Time-Varying Correlations - Paperback","description":"\u003cdiv\u003e\u003cp style=\"text-align: right;\"\u003e\u003ca href=\"https:\/\/reportcopyrightinfringement.com\/\" target=\"_blank\" rel=\"nofollow\"\u003e\u003cb\u003eReport copyright infringement\u003c\/b\u003e\u003c\/a\u003e\u003c\/p\u003e\u003c\/div\u003e\u003cp\u003eby \u003cb\u003eInternational Journal of Central Banking\u003c\/b\u003e (Created by), \u003cb\u003eAmy S. K. Wong\u003c\/b\u003e (Author)\u003c\/p\u003e\u003cp\u003eThe impact of jumps, regime switches, and linearly changing correlation term structures on the risk management of basket options has been examined in this paper. First, the results show that there is an asymmetric correlation effect on the value-at-risk of basket options. Second, the time at which a correlation shock occurs during the life of an option is particularly important for hedged basket options. Finally, the square-rootof- time rule can lead to severe underestimation of value-at-risk for basket options with time-varying correlations - for some cases, even by a factor exceeding the minimum regulatory stress factor.\u003c\/p\u003e\n            \u003cdiv\u003e\n\u003cstrong\u003eNumber of Pages:\u003c\/strong\u003e 34\u003c\/div\u003e\n            \u003cdiv\u003e\n\u003cstrong\u003eDimensions:\u003c\/strong\u003e 0.07 x 9.69 x 7.44 IN\u003c\/div\u003e\n            \u003cdiv\u003e\n\u003cstrong\u003ePublication Date:\u003c\/strong\u003e October 01, 2012\u003c\/div\u003e\n            ","brand":"BooksCloud","offers":[{"title":"Default Title","offer_id":53801688334643,"sku":"9781249569930","price":24.01,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0300\/5595\/6612\/files\/K4QXogpgE89781249569930.webp?v=1785975557","url":"https:\/\/www.vysn.com\/en-ca\/products\/basel-ii-and-the-risk-management-of-basket-options-with-time-varying-correlations-paperback","provider":"VYSN","version":"1.0","type":"link"}